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ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS |
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| Authors: | Laurence Carassus Miklós Rásonyi |
| Institution: | 1. LPMA, Université Paris Diderot‐Paris 7 and Université Reims Champagne‐Ardenne LMR;2. University of Edinburgh |
| Abstract: | We study the optimal investment problem for a behavioral investor in an incomplete discrete‐time multiperiod financial market model. For the first time in the literature, we provide easily verifiable and interpretable conditions for well‐posedness. Under two different sets of assumptions, we also establish the existence of optimal strategies. |
| Keywords: | optimization existence and well‐posedness in behavioral finance “ S‐shaped” utility function probability distortion Choquet integral |